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Call option on the maximum of the interest rate in the one factor affine model

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  • Mohamad Houda

    (LMRS)

Abstract

We determine an explicit formula for the Laplace transform of the price of an option on a maximal interest rate when the instantaneous rate satisfies Cox-Ingersoll-Ross's model. This generalizes considerably one result of Leblanc-Scaillet.

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  • Mohamad Houda, 2013. "Call option on the maximum of the interest rate in the one factor affine model," Papers 1309.5565, arXiv.org.
    • Handle: RePEc:arx:papers:1309.5565
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    References listed on IDEAS

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    1. Darrell Duffie & Rui Kan, 1996. "A Yield‐Factor Model Of Interest Rates," Mathematical Finance, Wiley Blackwell, vol. 6(4), pages 379-406, October.
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